15 citations · 27 across the 14 of their papers we have counts for
17 papers
W-BSDEs with Common Noise: Well-posedness, Characterization, and Consequences
Mao Fabrice Djete, Mattia Martini
We study a notion of backward stochastic differential equation on the Wasserstein space, called a W-BSDE. This work extends to the common noise setting recent results of the first…
A McKean--Vlasov semigroup and its application to a martingale representation problem
Mao Fabrice Djete, Mattia Martini
We introduce a McKean--Vlasov semigroup in the presence of common noise and study its first-order differential structure. Given a terminal functional , the semigroup is defined…
Non--exchangeable mean field games with moderate interactions and common noise
Mao Fabrice Djete
We study mean field games for large non--exchangeable populations with moderate local interactions and common noise. The finite--player system is driven by two complementary intera…
On Approximate Nash Equilibria in Mean Field Games
Mao Fabrice Djete, Nizar Touzi
In the context of large population symmetric games, approximate Nash equilibria are introduced through equilibrium solutions of the corresponding mean field game in the sense that…
A non-exchangeable mean field control problem with controlled interactions
Mao Fabrice Djete
This paper introduces and analyzes a new class of mean-field control (\textsc{MFC}) problems in which agents interact through a \emph{fixed but controllable} network structure. In…
A notion of BSDE on the Wasserstein space and its applications to control problems and PDEs
Mao Fabrice Djete
We introduce a class of backward stochastic differential equations (BSDEs) on the Wasserstein space of probability measures. This formulation extends the classical correspondence b…
Three connected problems: principal with multiple agents in cooperation, Principal--Agent with Mckean--Vlasov dynamics and multitask Principal--Agent
Mao Fabrice Djete
In this paper, we address three Principal--Agent problems in a moral hazard context and show that they are connected. We start by studying the problem of Principal with multiple Ag…
Mean Field Game of Mutual Holding with common noise
Leila Bassou, Mao Fabrice Djete, Nizar Touzi
We consider the mean field game of cross--holding introduced in \citeauthor*{DjeteTouzi} \cite{DjeteTouzi} in the context where the equity value dynamics are affected by a common n…
Stackelberg Mean Field Games: convergence and existence results to the problem of Principal with multiple Agents in competition
Mao Fabrice Djete
In a situation of moral hazard, this paper investigates the problem of Principal with Agents when the number of Agents goes to infinity. There is competition between the Ag…
Mean field game of mutual holding with defaultable agents, and systemic risk
Mao Fabrice Djete, Gaoyue Guo, Nizar Touzi
We introduce the possibility of default in the mean field game of mutual holding of Djete and Touzi [11]. This is modeled by introducing absorption at the origin of the equity proc…
Non--regular McKean--Vlasov equations and calibration problem in local stochastic volatility models
Mao Fabrice Djete
In order to deal with the question of the existence of a calibrated local stochastic volatility model in finance, we investigate a class of McKean--Vlasov equations where a minimal…
Large population games with interactions through controls and common noise: convergence results and equivalence between -- and -- controls
Mao Fabrice Djete
In the presence of a common noise, we study the convergence problems in mean field game (MFG) and mean field control (MFC) problem where the cost function and the state dynamics de…
Mean Field Game of Mutual Holding
Mao Fabrice Djete, Nizar Touzi
We introduce a mean field model for optimal holding of a representative agent of her peers as a natural expected scaling limit from the corresponding agent model. The induced m…
Extended mean field control problem: a propagation of chaos result
Mao Fabrice Djete
In this paper, we study the mean field control problem, which is a class of McKean-Vlasov stochastic control problem where the state dynamics and the reward functions de…
Mean Field Games of Controls: on the convergence of Nash equilibria
Mao Fabrice Djete
In this paper, we investigate a class of mean field games where the mean field interactions are achieved through the joint (conditional) distribution of the controlled state and th…
McKean-Vlasov optimal control: limit theory and equivalence between different formulations
Fabrice Mao Djete, Dylan Possamaï, Xiaolu Tan
We study a McKean-Vlasov optimal control problem with common noise, in order to establish the corresponding limit theory, as well as the equivalence between different formulations,…
McKean-Vlasov optimal control: the dynamic programming principle
Mao Fabrice Djete, Dylan Possamaï, Xiaolu Tan
We study the McKean-Vlasov optimal control problem with common noise in various formulations, namely the strong and weak formulation, as well as the Markovian and non-Markovian for…